Asian put option

We've made this change to keep the University's websites safe and secure. Additionally, it is possible to observe the effect of changes in the volatility of the underlying asset. Select the China site in Chinese or English for best site performance. This is because the volatility in the average value of an underlier tends to be lower than the volatility of the value of the underlier itself. The results above compare the findings from calculating both geometric and arithmetic Asian options, using CRR trees with 20 and 40 levels. Hence, we will not issue any certificate or letter for indexing issue.
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Asian Option (Average Option)

Under a Creative Commons license. Thanks alot in advance and appreciated the work done. Abstract In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. The mature payoff of a portfolio with one European arithmetic average floating strike Asian call holding long and one put holding short is The value of this portfolio is equal to one consisting of one stock and a financial product whose payoff is. Although we do our best to monitor for objectionable content, it is possible that we occasionally miss something. Cai and Kou [ 30 ] consider the pricing of Asian options for the double exponential jump diffusion model.
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Asian Options: Analytical Approach - Application Center

Exotic options provide investors with new alternatives to manage their portfolio risks and speculate on various market opportunities. Again, we can ask Maple to calculate option's sensitivities: The Asian option pricing in the uncertain volatility model will be even more difficult than in the model without volatility uncertainty. It is easy to verify that the discounted prices of the stock satisfy the valuation mechanism ; that is, Let us assume with The following result is a corollary of the nonlinear Feynman-Kac formula of Peng [ 36 ]. The lattice pricing function asianbycrr takes an interest-rate tree CRRTree and stock structure as inputs.
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Select the China site in Chinese or English for best site performance. End-users of commodities or energies tend to be exposed to average prices over time, so Asian options may appeal to them. Asian options are securities with payoffs that depend on the average value of an underlying asset over a specific period of time. A -dimensional process on a sublinear expectation space is called a -Brownian motion if the following properties are satisfied: The space can be considered as the space of random variables. We will see that this method can ensure the numerical solutions converge to the viscosity solutions, and is accurate, efficient, and quick to be implemented.
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